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A Cape Cod model for the exponential dispersion family

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  • Taylor, Greg

Abstract

The defining feature of the Cape Cod algorithm in current literature is its assumption of a constant loss ratio over accident periods. This is a highly simplifying assumption relative to the chain ladder model which, in effect, allows loss ratio to vary freely over accident period.

Suggested Citation

  • Taylor, Greg, 2019. "A Cape Cod model for the exponential dispersion family," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 126-137.
    • Handle: RePEc:eee:insuma:v:85:y:2019:i:c:p:126-137
    DOI: 10.1016/j.insmatheco.2018.11.008
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    References listed on IDEAS

    as
    1. Saluz, Annina, 2015. "Prediction uncertainties in the Cape Cod reserving method," Annals of Actuarial Science, Cambridge University Press, vol. 9(2), pages 239-263, September.
    2. Peters, Gareth W. & Shevchenko, Pavel V. & Wüthrich, Mario V., 2009. "Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 1-33, May.
    3. Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Model uncertainty in claims reserving within Tweedie's compound Poisson models," Papers 0904.1483, arXiv.org.
    4. Taylor, Greg, 2015. "Bayesian Chain Ladder Models," ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 75-99, January.
    5. Smyth, Gordon K. & Jørgensen, Bent, 2002. "Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 143-157, May.
    6. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    7. Taylor, Greg, 2011. "Maximum Likelihood and Estimation Efficiency of the Chain Ladder," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 131-155, May.
    8. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
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